Increase the applied weight and you increase the retarding force.
Yes, but increase the weight and you increase the retarding force necessary to achieve the same deceleration (F = ma). And that is (I assume) what one means by brake effectiveness. The two cancel each other out.
In reality, the increase in effectiveness is probably a second order effect. Increased tire contact area, etc. Beyond some point (weight), brake effectiveness will begin to drop. One factor is brake fade due to temperature. The more energy the rotors have to dissipate, the hotter they will get, soon reaching some maximum value. The rotor steel will soften for one thing.
Google for a max weight RTO test video. Or perhaps its better not to know what goes on down below.
